Preprint on SSRN; last accessed October 20, 2024.
ISSN/ISBN: Not available at this time. DOI: Not available at this time.
Abstract: This article investigates wash trading as a crypto-market-wide phenomenon that affects exchange integrity and the accuracy of liquidity claims. We examine four main cryptocurrencies using a dataset spanning November 15, 2020, to January 31, 2022. We employ two detection approaches to assess the extent of wash trading: the roundness of trade sizes and Benford's Law. We examine over 40 different explanatory variables, including blockchain and crypto measures and financial and macroeconomic factors. Variable selection is conducted using a robust combination of Variance Inflation Factor and Bayesian Model Averaging. Our findings show that market volatility, exchange flows, and public attention all have a major influence on wash trading, as exchanges may use volatile conditions to engage in manipulative behaviors. Models in our study offer insights helpful for regulators and market participants to detect and mitigate such practices, thereby enhancing market integrity and investor confidence.
Bibtex:
@misc{,
author = {Jan Sila and Evzen Kocenda and Ladislav Kristoufek and Jiri Kukacka},
title = {Determinants of wash trading in major cryptoexchanges},
url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4971590},
year = {2024},
}
Reference Type: Preprint
Subject Area(s): Economics